if you are interested in bigger rockets, i would suggest contacting the ASU rocket guys. they are usually pretty helpful and they should be able to give you information about launches in AZ. i know they used to go out to rainbow valley (west of phx) to launch with an amateur rocket club. they build really big guys and use home made motors and stuff like that.
as for r/c planes, i got involved with some of this at ASU. this is a much more expensive hobby. an airplane with an engine is probably going to cost you $100. and as you are learning, you will have to pay to fix any thing that breaks during crashes. this probably doesn't include the receiver/transmitter either. the other difficult thing is finding a spot to fly. most r/c runways require you to be a member of their club to use the runway. you can probably start with a smaller electric plane and get away with flying around a park or something. but some of the bigger planes and receiver/transmitters require a special location to fly due to FCC laws. any hobby shop would have the information about clubs and FCC guidelines.